This LP-filter protects DSL-modems from RF-Interference caused by RF from your transmitter. Specially when transmitting on 160m and 80m it's very common that the RF cause interference or even make the DSL-modem to reset.

The attenuation is >40dB on 160m and >60dB on 80m.

You just connected it between the DSL-splitter and the modem. Move the RJ12 connector from the modem to the filter "Line" jack and connect the short cable with RJ12 connectors (included) between the "Modem" jack and the modem.